| | |
| | | shortPositionSize = BigDecimal.ZERO; |
| | | baseLongOpened = false; |
| | | baseShortOpened = false; |
| | | config.setBaseLongTraderParam(null); |
| | | config.setBaseShortTraderParam(null); |
| | | longActive = false; |
| | | shortActive = false; |
| | | accumulatedLongLossCount = 0; |
| | |
| | | .entryOrderId(orderId) |
| | | .build(); |
| | | config.setBaseLongTraderParam(baseLongTp); |
| | | tryGenerateQueues(); |
| | | }, null); |
| | | executor.openShort(negate(size), (orderId) -> { |
| | | TraderParam baseShortTp = TraderParam.builder() |
| | | .entryOrderId(orderId) |
| | | .build(); |
| | | config.setBaseShortTraderParam(baseShortTp); |
| | | tryGenerateQueues(); |
| | | }, null); |
| | | return; |
| | | } |
| | |
| | | int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | extendShortStopLoss(posSize, shortGridElement.getId()); |
| | | // [Gate] 止盈挂单:超出基础仓位的部分,挂在多仓第一止损位 |
| | | if (config.isPlaceExcessTakeProfit()) { |
| | | if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeExcessTakeProfit(posSize, false); |
| | | } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeDispersedTakeProfit(posSize, false, shortGridElement.getId()); |
| | | } |
| | | log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | |
| | | int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | extendLongStopLoss(posSize, longGridElement.getId()); |
| | | // [Gate] 止盈挂单:超出基础仓位的部分,挂在空仓第一止损位 |
| | | if (config.isPlaceExcessTakeProfit()) { |
| | | if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeExcessTakeProfit(posSize, true); |
| | | } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeDispersedTakeProfit(posSize, true, longGridElement.getId()); |
| | | } |
| | | log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | |
| | | * <li>状态切换为 ACTIVE</li> |
| | | * </ol> |
| | | */ |
| | | private void tryGenerateQueues() { |
| | | if (baseLongOpened && baseShortOpened) { |
| | | private synchronized void tryGenerateQueues() { |
| | | // 幂等保护:生成队列后 state 切换为 ACTIVE,避免多线程重复执行 |
| | | if (state != StrategyState.OPENING) { |
| | | return; |
| | | } |
| | | TraderParam baseLongTraderParam = config.getBaseLongTraderParam(); |
| | | TraderParam baseShortTraderParam = config.getBaseShortTraderParam(); |
| | | // 需同时满足:多空基底均已成交,且两个下单参数(orderId)均已通过下单成功回调拿到。 |
| | | // IOC 市价单成交后 WS 持仓推送可能先于 REST 下单响应返回,必须等参数就绪再生成队列。 |
| | | if (!(baseLongOpened && baseShortOpened) |
| | | || baseLongTraderParam == null || baseShortTraderParam == null) { |
| | | return; |
| | | } |
| | | { |
| | | generateShortQueue(); |
| | | generateLongQueue(); |
| | | updateGridElements(); |
| | | |
| | | GridElement baseGridElement = GridElement.findById(0); |
| | | TraderParam baseLongTraderParam = config.getBaseLongTraderParam(); |
| | | baseGridElement.setLongOrderId(baseLongTraderParam.getEntryOrderId()); |
| | | baseGridElement.setHasLongOrder(true); |
| | | TraderParam baseShortTraderParam = config.getBaseShortTraderParam(); |
| | | baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId()); |
| | | baseGridElement.setHasShortOrder(true); |
| | | |
| | |
| | | } |
| | | |
| | | /** |
| | | * 分散止盈:把超出基础仓位的部分,从入场网格下一格开始逐格挂止盈单,一直挂到对手盘止损位。 |
| | | * |
| | | * <p>数量分配:excessQty ÷ 网格数向下取整,余数全部挂在最后一个止盈网格(对手盘止损位)。 |
| | | * |
| | | * <p>方向:多仓成交向价格更高方向(id 递增)铺到空仓第一止损位; |
| | | * 空仓成交向价格更低方向(id 递减)铺到多仓第一止损位。 |
| | | * |
| | | * @param posSize 当前总持仓张数 |
| | | * @param isLong true=多仓成交,false=空仓成交 |
| | | * @param entryGridId 入场网格 ID |
| | | */ |
| | | private void placeDispersedTakeProfit(int posSize, boolean isLong, int entryGridId) { |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int excessQty = posSize - baseQty; |
| | | if (excessQty <= 0) { |
| | | return; |
| | | } |
| | | |
| | | GridElement endElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid(); |
| | | if (endElem == null) { |
| | | log.warn("[Gate] {}分散止盈失败:未找到对手盘止损位", isLong ? "多仓" : "空仓"); |
| | | return; |
| | | } |
| | | int endId = endElem.getId(); |
| | | int dir = isLong ? 1 : -1; |
| | | int startId = entryGridId + dir; |
| | | |
| | | // 终点必须在起点前进方向上,否则退化为集中止盈(全部挂对手盘止损位) |
| | | boolean valid = isLong ? (endId >= startId) : (endId <= startId); |
| | | if (!valid) { |
| | | placeExcessTakeProfit(posSize, isLong); |
| | | return; |
| | | } |
| | | |
| | | // 收集区间内全部网格(含两端) |
| | | List<GridElement> gridList = new ArrayList<>(); |
| | | int id = startId; |
| | | while (true) { |
| | | GridElement e = GridElement.findById(id); |
| | | if (e == null) { |
| | | break; |
| | | } |
| | | gridList.add(e); |
| | | if (id == endId) { |
| | | break; |
| | | } |
| | | id += dir; |
| | | if (gridList.size() > config.getGridQueueSize() * 2 + 4) { |
| | | break; |
| | | } |
| | | } |
| | | if (gridList.isEmpty() || gridList.get(gridList.size() - 1).getId() != endId) { |
| | | // 未能铺满到终点(网格缺失),退化为集中止盈 |
| | | placeExcessTakeProfit(posSize, isLong); |
| | | return; |
| | | } |
| | | |
| | | int n = gridList.size(); |
| | | int perGrid = excessQty / n; |
| | | int remainder = excessQty % n; |
| | | |
| | | for (int i = 0; i < n; i++) { |
| | | int qty = perGrid; |
| | | if (i == n - 1) { |
| | | qty += remainder; |
| | | } |
| | | if (qty <= 0) { |
| | | continue; |
| | | } |
| | | final GridElement elem = gridList.get(i); |
| | | final int gid = elem.getId(); |
| | | final BigDecimal triggerPrice = elem.getGridPrice(); |
| | | final String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty); |
| | | final String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | final FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(elem, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(elem, profitId, true); |
| | | } |
| | | log.info("[Gate] 分散止盈 {} gridId:{}, 触发价:{}, 数量:{}, tpId:{}", |
| | | isLong ? "多仓" : "空仓", gid, triggerPrice, size, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 在指定网格挂一笔对手止盈单(非满仓超额止盈,挂在止损触发位的下一格)。 |
| | | */ |
| | | private void placeTakeProfitAtGrid(GridElement tpElem, boolean isLong, int qty, int times) { |